先锋期货期权日报 2025-11-24 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.3% | 1 | 3.7% | 1 | 3.2% | 4 | | ps2601 | 3.0% | 2 | 2.4% | 2 | 2.0% | 16 | | fg601 | 2.4% | 3 | 1.4% | 10 | 3.7% | 2 | | 科创50etf11月 | 2.3% | 4 | 1.6% | 7 | ...

先锋期货期权日报 2025-11-18 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.4% | 1 | 2.9% | 1 | 4.4% | 1 | | ps2601 | 2.6% | 2 | 2.1% | 3 | 2.2% | 13 | | ag2512 | 2.3% | 3 | 2.2% | 2 | 2.8% | 2 | | 科创板50etf3月 | 2.2% | 4 | 1.8% | 5 | ...

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at - the - money options, 30 - day historical volatility, and daily true range for various option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - **Volatility Trading**: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - **Volatility Trading**: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [45][46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [56][59] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [67][68] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [78][79] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [89][91] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]

Group 1: Option Volatility Ranking - ag2511 has the highest implied volatility of 2.7% and ranks 1st, with a 30 - day historical volatility of 2.3% (ranked 4th) and a real - time volatility of 5.1% (ranked 2nd) [3] - jd2511 has an implied volatility of 2.7%, ranking 2nd, a 30 - day historical volatility of 1.7% (ranked 10th), and a real - time volatility of 1.2% (ranked 35th) [3] - au2512 has an implied volatility of 2.1%, ranking 9th, a 30 - day historical volatility of 2.2% (ranked 5th), and a real - time volatility of 6.4% (ranked 1st) [3] Group 2: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of significant market movements. Trend traders can focus on varieties with higher rankings. The 30 - day historical volatility reflects the actual past market size. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings. Intraday traders can focus on varieties with higher rankings in real - time volatility [6] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] Group 3: Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - The trading volume of the main options of Shanghai 50ETF on this day is 426,448 lots, the open interest is 555,499 lots, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.02% [21] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 5.04% at the settlement price and 0.93% at the counter - price [27][29] 1.2 Huatai - Ber瑞 CSI 300ETF - The trading volume of the main options of Huatai - Ber瑞 CSI 300ETF on this day is 452,107 lots, the open interest is 498,017 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 17.52% [32] - Volatility trading suggestions are the same as above [37] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 4.12% at the settlement price and 0.67% at the counter - price [39][40] 1.3 Southern CSI 500ETF - The trading volume of the main options of Southern CSI 500ETF on this day is 573,640 lots, the open interest is 493,365 lots, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 22.22% [43] - Volatility trading suggestions are the same as above [45] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 28.0% at the settlement price and 6.66% at the counter - price [49][51] 1.4 Huaxia SSE STAR Market 50ETF - The trading volume of the main options of Huaxia SSE STAR Market 50ETF on this day is 667,575 lots, the open interest is 686,318 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 34.66% [54] - Volatility trading suggestions are the same as above [56] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 17.1% at the settlement price and 5.97% at the counter - price [60][62] 1.5 E Fund SSE STAR Market 50ETF - The trading volume of the main options of E Fund SSE STAR Market 50ETF on this day is 127,612 lots, the open interest is 204,544 lots, the trading volume ratio of call options to put options is 0.58, and the weighted average implied volatility is 40.39% [65] - Volatility trading suggestions are the same as above [67] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 30.1% at the settlement price and 6.47% at the counter - price [71][72] Group 4: Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - The trading volume of the main options of Harvest CSI 300ETF on this day is 66,876 lots, the open interest is 84,465 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.15% [75] - Volatility trading suggestions are the same as above [78]

Group 1: Report Overview - Report Date: October 17, 2025 [1] - Report Title: Pioneer Futures Options Daily Report Group 2: Options Underlying Volatility Ranking Overall Ranking - The report provides a ranking of options underlying based on three volatility metrics: at-the-money implied volatility, 30-day historical volatility, and daily true range [3][4]. - The top 3 options in at-the-money implied volatility are ps2512 (3.3%), ag2511 (3.1%), and科创50etf12月 (2.8%) [3]. - The top 3 options in 30-day historical volatility are科创50etf12月 (2.5%), 科创板50etf12月 (2.4%), and 创业板etf10月 (2.1%) [3]. - The top 3 options in daily true range are ag2511 (5.0%), ps2512 (3.5%), and 创业板etf10月 (3.5%) [3]. Volatility Interpretation - At-the-money implied volatility reflects the market's expectation of future price fluctuations, with higher values indicating a greater likelihood of significant price movements [5]. - 30-day historical volatility reflects the actual price movements in the past, and a lower value compared to implied volatility may suggest that the option price is relatively expensive [5]. - Daily true range reflects the intraday price movements, and traders can focus on options with higher rankings [5]. Group 3: Exchange - Specific Options Analysis 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF Options - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 22.11% [18][20]. - **Volatility Trading**: Suggestions include selling options in months with higher volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.8% at the settlement price and 2.48% at the counter - party price [27][29]. 1.2 Huatai - Berry SSE 300ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 22.92% [30][32]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF options [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 39.6% at the settlement price and 6.08% at the counter - party price [38][39]. 1.3 Southern CSI 500ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 26.27% [40][42]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.4% at the settlement price and 6.59% at the counter - party price [49][51]. 1.4 Huaxia SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 53.28% [52][54]. - **Volatility Trading**: Similar trading suggestions as above [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 5.98% at the counter - party price [62][64]. 1.5 E Fund SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 48.62% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [71]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.8% at the settlement price and 4.67% at the counter - party price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SZSE 300ETF Options - **Basic Information**: The trading volume of the main Harvest SZSE 300ETF options is 171,599 contracts, the open interest is 182,102 contracts, the trading volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24% [77][79]. - **Volatility Trading**: Similar trading suggestions as above [81].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, trading volumes, open interests, implied volatilities, and provides volatility trading suggestions and risk - free arbitrage returns. It offers a reference for investors in the options market [3][19][21]. 3. Summary According to the Table of Contents 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 578,280 lots, the open interest was 1,251,325 lots, the trading volume ratio of call options to put options was 1.32, and the weighted - average implied volatility was 21.5% [21]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 24.4% at the settlement price and 2.77% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The trading volume of the main Huatai - Peregrine CSI 300 ETF options on the day was 720,991 lots, the open interest was 959,003 lots, the trading volume ratio of call options to put options was 1.15, and the weighted - average implied volatility was 21.61% [32]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 20.1% at the settlement price and 1.32% at the counter - price [39][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,295,375 lots, the open interest was 931,223 lots, the trading volume ratio of call options to put options was 1.31, and the weighted - average implied volatility was 24.86% [45]. - **Volatility Trading**: The same trading suggestions as above [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 76.0% at the settlement price and 17.6% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR Market 50 ETF options on the day was 1,112,259 lots, the open interest was 1,644,909 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 51.67% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 35.6% at the settlement price and 16.0% at the counter - price [63][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR Market 50 ETF options on the day was 208,001 lots, the open interest was 464,253 lots, the trading volume ratio of call options to put options was 2.06, and the weighted - average implied volatility was 50.94% [67]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 56.3% at the settlement price and 10.6% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main Harvest CSI 300 ETF options on the day was 141,658 lots, the open interest was 234,347 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.79% [80]. - **Volatility Trading**: Use the common volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 14.1% at the settlement price and 0.94% at the counter - price [86][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day was 1,754,047 lots, the open interest was 1,461,858 lots, the trading volume ratio of call options to put options was 1.13, and the weighted - average implied volatility was 48.5% [91]. - **Volatility Trading**: Follow the general volatility trading rules [94]. - **Risk - Free Arbitrage**: No relevant risk - free arbitrage content provided.

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: September 15, 2025 [1] Option Volatility Ranking - The table shows the ranking of option underlying assets in terms of at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, jd2510 ranks 1st in at-the-money option implied volatility and daily true range, with values of 3.8% and 5.3% respectively, and 12th in 30-day historical volatility with a value of 1.5% [3]. - Notes on volatility: The at-the-money option implied volatility reflects the market's expectation of future fluctuations of the variety, the 30-day historical volatility reflects the actual past market size, and the daily true range reflects the intraday market size [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on this day is 547,658 lots, the open interest is 1,242,032 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 20.98% [18][20]. - **Volatility Trading**: Different months - sell the month with the curve on top and buy the month with the curve below; same month - sell the option with the point on the curve above and buy the option with the point on the curve below [24]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.24%; at the counter - price, it is 2.33% [27][29]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry CSI 300ETF on this day is 690,611 lots, the open interest is 986,453 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 20.59% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [39]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.7%; at the counter - price, it is 0.69% [40][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on this day is 954,892 lots, the open interest is 927,890 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 23.83% [44][46]. - **Volatility Trading**: Similar trading suggestions as above [48]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 60.7%; at the counter - price, it is 10.6% [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on this day is 1,060,390 lots, the open interest is 1,618,164 lots, the trading volume ratio of call options to put options is 1.96, and the weighted average implied volatility is 52.16% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.3%; at the counter - price, it is 4.53% [63][64]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on this day is 209,046 lots, the open interest is 459,663 lots, the trading volume ratio of call options to put options is 2.46, and the weighted average implied volatility is 51.25% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [70]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.5%; at the counter - price, it is 6.44% [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on this day is 125,850 lots, the open interest is 228,920 lots, the trading volume ratio of call options to put options is 1.48, and the weighted average implied volatility is 22.5% [77][80]. - **Volatility Trading**: Similar trading suggestions as above [84]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.8%; at the counter - price, there is no minimum annualized return [87][89]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides the T - type quotation table of the E Fund ChiNext ETF options but does not mention the trading volume, open interest, trading volume ratio, and weighted average implied volatility of the main options [90]. - **Volatility Trading**: Not mentioned in the provided content. - **Risk - Free Arbitrage**: Not mentioned in the provided content.

Report Information - The report is the Pioneer Futures Options Daily Report dated September 4, 2025 [1] Core Information Options Volatility Ranking - Presents the implied volatility, historical volatility for 30 days, and daily true volatility of multiple option targets, along with their rankings. For example, ps2510 has an implied volatility of 5.3% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 4th), and a daily true volatility of 1.5% (ranked 32nd) [3] Volatility Trading Insights - For different months, sell options from months with higher - ranking curves and buy those from months with lower - ranking curves; for the same month, sell options with points above the curve and buy those with points below the curve [23][34] Risk - free Arbitrage Returns - Provides the minimum annualized returns of optimal arbitrage portfolios for various ETF options when traded at settlement prices and counter - party prices. For instance, for the Huatai - Baoying CSI 300 ETF, the minimum annualized return is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,482,827 lots, the open interest is 1,345,622 lots, the volume ratio of call to put options is 1.22, and the weighted average implied volatility is 22.13% [19][21] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 9.72% at the settlement price and 0.32% at the counter - party price [27][29] 1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,370,832 lots, the open interest is 1,047,558 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 22.22% [30][32] - **Volatility Trading**: Provides volatility trading suggestions according to implied volatility curves [34] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] 1.3 Southern CSI 500 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,102,038 lots, the open interest is 1,041,307 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 26.99% [42][44] - **Volatility Trading**: Gives volatility trading suggestions based on implied volatility curves [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 59.1% at the settlement price and 11.6% at the counter - party price [51][53] 1.4 Huaxia Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,416,741 lots, the open interest is 1,547,127 lots, the volume ratio of call to put options is 0.99, and the weighted average implied volatility is 48.77% [54][56] - **Volatility Trading**: Offers volatility trading suggestions according to implied volatility curves [57] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 37.3% at the settlement price and 8.66% at the counter - party price [61][62] 1.5 E Fund Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 519,143 lots, the open interest is 455,701 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 51.35% [63][65] - **Volatility Trading**: Provides volatility trading suggestions based on implied volatility curves [67] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 49.0% at the settlement price and 11.3% at the counter - party price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 232,909 lots, the open interest is 247,956 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 23.66% [74][77] - **Volatility Trading**: Gives volatility trading suggestions according to implied volatility curves [81] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 20.9% at the settlement price and 2.41% at the counter - party price [84][85] 2.2 E Fund ChiNext ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 3,181,923 lots, the open interest is 1,403,161 lots, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 42.06% [86][88] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [90] - **Risk - free Arbitrage**: Not provided in the given content

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 1, 2025 1. Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report provides a comprehensive analysis of various futures and options, including their volatility rankings and trading suggestions for different exchanges' options products [3][6] 3. Summary by Directory 3.1 Upper Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - month options is 739,635 lots, the open interest is 1,220,168 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.96% [19][21] - **Volatility Trading**: Sell the options or months with higher implied volatility curves and buy those with lower curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.75% at the settlement price and 2.84% at the counter - price [27][29] 3.1.2 Huatai - Baorui CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 765,037 lots, the open interest is 967,481 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 21.99% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 4.46% at the settlement price and 0.45% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - month options is 1,011,151 lots, the open interest is 967,954 lots, the trading volume ratio of call to put options is 1.44, and the weighted - average implied volatility is 24.21% [42][44] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options/months [46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 86.2% at the settlement price and 19.1% at the counter - price [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 1,384,450 lots, the open interest is 1,477,817 lots, the trading volume ratio of call to put options is 1.94, and the weighted - average implied volatility is 54.1% [53][55] - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options/months [60][61] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 15.7% at the settlement price and 3.23% at the counter - price [64][66] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 317,372 lots, the open interest is 420,200 lots, the trading volume ratio of call to put options is 1.61, and the weighted - average implied volatility is 54.66% [67][69] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.55% at the settlement price and 4.57% at the counter - price [75][77] 3.2 Shenzhen Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 156,778 lots, the open interest is 203,111 lots, the trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 25.32% [78][81] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [83] 3.3 Volatility Ranking - The report lists the at - the - money implied volatility, 30 - day historical volatility, and daily true range of multiple options, along with their rankings, providing references for different types of traders [3][5]